메뉴 건너뛰기




Volumn 19, Issue 4, 2003, Pages 511-528

On the tractability of the Brownian Bridge algorithm

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0042156956     PISSN: 0885064X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0885-064X(03)00045-1     Document Type: Article
Times cited : (13)

References (15)
  • 1
    • 0042735330 scopus 로고    scopus 로고
    • The Fibonacci shuffle tree
    • G.E. Bergum, A.N. Philippou, A.F. Horadam (Eds.), Kluwer Academic Publishers, Dordrecht
    • P.G. Anderson, The Fibonacci shuffle tree, in: G.E. Bergum, A.N. Philippou, A.F. Horadam (Eds.), Applications of Fibonacci Numbers, Vol. 7, Kluwer Academic Publishers, Dordrecht, 1998, pp. 9-16.
    • (1998) Applications of Fibonacci Numbers , vol.7 , pp. 9-16
    • Anderson, P.G.1
  • 2
    • 0042234348 scopus 로고
    • Über die Diskrepanz mehrdimensionaler Folgen mod. 1
    • E. Hlawka, Über die Diskrepanz mehrdimensionaler Folgen mod. 1, Math. Z. 77 (1961) 273-284.
    • (1961) Math. Z. , vol.77 , pp. 273-284
    • Hlawka, E.1
  • 3
    • 0041847805 scopus 로고    scopus 로고
    • 2 discrepancy
    • Technical Report 55, Department of Mathematics, The University of Waikato, Hamilton, New Zealand
    • 2 discrepancy, Technical Report 55, Department of Mathematics, The University of Waikato, Hamilton, New Zealand, 1997.
    • (1997)
    • Joe, S.1
  • 4
    • 0003657590 scopus 로고
    • Sorting and Searching, Addison-Wesley, Reading, MA
    • D.E. Knuth, The Art of Computer Programming, Vol. 3, Sorting and Searching, Addison-Wesley, Reading, MA, 1973.
    • (1973) The Art of Computer Programming , vol.3
    • Knuth, D.E.1
  • 5
    • 0032303389 scopus 로고    scopus 로고
    • Generating quasi-random paths for stochastic processes
    • W.J. Morokoff, Generating quasi-random paths for stochastic processes, SIAM Rev. 40 (4) (1998) 765-788.
    • (1998) SIAM Rev. , vol.40 , Issue.4 , pp. 765-788
    • Morokoff, W.J.1
  • 6
    • 4244153703 scopus 로고    scopus 로고
    • Detecting near linearity in high dimensions
    • Technical Report, Stanford University, Statistics Department
    • A.B. Owen, Detecting near linearity in high dimensions, Technical Report, Stanford University, Statistics Department, 1998.
    • (1998)
    • Owen, A.B.1
  • 7
    • 0036222401 scopus 로고    scopus 로고
    • The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
    • A. Papageorgiou, The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration, J. Complexity 18 (2002) 1-16.
    • (2002) J. Complexity , vol.18 , pp. 1-16
    • Papageorgiou, A.1
  • 8
    • 0008983046 scopus 로고
    • Computing high-dimensional integrals with applications to finance
    • Joint Summer Research Conference on Continuous Algorithms and Complexity, Mount Holyoke College
    • S.H. Paskov, Computing high-dimensional integrals with applications to finance, Joint Summer Research Conference on Continuous Algorithms and Complexity, Mount Holyoke College, 1994.
    • (1994)
    • Paskov, S.H.1
  • 9
    • 0001922673 scopus 로고    scopus 로고
    • New methodologies for valuing derivatives
    • S. Pliska, M. Dempster (Eds.), Isaac Newton Institute, Cambridge University Press, Cambridge
    • S.H. Paskov, New methodologies for valuing derivatives, in: S. Pliska, M. Dempster (Eds.), Mathematics of Derivative Securities, Isaac Newton Institute, Cambridge University Press, Cambridge, 1996.
    • (1996) Mathematics of Derivative Securities
    • Paskov, S.H.1
  • 10
    • 0029692966 scopus 로고
    • Faster valuation of financial derivatives
    • S.H. Paskov, J.F. Traub, Faster valuation of financial derivatives, J. Portfolio Management 22 (1) (1995) 113-120.
    • (1995) J. Portfolio Management , vol.22 , Issue.1 , pp. 113-120
    • Paskov, S.H.1    Traub, J.F.2
  • 11
    • 0042234328 scopus 로고    scopus 로고
    • Qmc integration - Beating intractability by weighting the coordinate directions
    • K.-T. Fang, F.J. Hickernell, H. Niederreiter (Eds.), Springer, Berlin
    • I.H. Sloan, Qmc integration - beating intractability by weighting the coordinate directions, in: K.-T. Fang, F.J. Hickernell, H. Niederreiter (Eds.), Monte Carlo and Quasi-Monte Carlo Methods 2000, Springer, Berlin, 2002, pp. 103-123.
    • (2002) Monte Carlo and Quasi-Monte Carlo Methods 2000 , pp. 103-123
    • Sloan, I.H.1
  • 12
    • 0002522806 scopus 로고    scopus 로고
    • When are quasi-Monte Carlo algorithms efficient for high-dimensional integrals?
    • I. Sloan, H. Woźniakowski, When are quasi-Monte Carlo algorithms efficient for high-dimensional integrals?, J. Complexity 14 (1998) 1-33.
    • (1998) J. Complexity , vol.14 , pp. 1-33
    • Sloan, I.1    Woźniakowski, H.2
  • 15
    • 0002548979 scopus 로고
    • Some applications of multidimensional integration by parts
    • S.K. Zaremba, Some applications of multidimensional integration by parts, Ann. Polon. Math. 21 (1968) 85-96.
    • (1968) Ann. Polon. Math. , vol.21 , pp. 85-96
    • Zaremba, S.K.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.